/// <summary>
/// Calculate a valuation profile for the deal for the current scenario.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
var deal = (CFListBaseDeal <TCashflowList>)fDeal;
double baseDate = factors.BaseDate;
var tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
CashAccumulators cashAccumulators = valuationResults.Cash;
double endDate = deal.EndDate();
using (IntraValuationDiagnosticsHelper.StartDeal(fIntraValuationDiagnosticsWriter, fDeal))
{
using (var outerCache = Vector.Cache(factors.NumScenarios))
{
Vector defaultDate = fCreditRating != null?outerCache.Get(CalcUtils.DateTimeMaxValueAsDouble) : null;
var defaultedBeforeBaseDate = CreditRating.DefaultedBeforeBaseDate(fCreditRating, baseDate);
bool collectCash = ValueOnCashflowDates();
var saccrResult = SACCRResultFactory.Create(valuationResults, deal.GetDealReferenceProvider().DealReference,
() => new SACCROptionResult(factors.NumScenarios));
VectorEngine.For(tgi, () =>
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector pv = cache.GetClear();
Vector cash = collectCash ? cache.GetClear() : null;
if (!defaultedBeforeBaseDate)
{
using (IntraValuationDiagnosticsHelper.StartCashflowsOnDate(fIntraValuationDiagnosticsWriter, tgi.Date))
{
using (IntraValuationDiagnosticsHelper.StartCashflows(fIntraValuationDiagnosticsWriter, fFxRate, tgi.T, deal))
{
Value(pv, cash, baseDate, tgi.Date, saccrResult, fIntraValuationDiagnosticsWriter);
IntraValuationDiagnosticsHelper.AddCashflowsPV(fIntraValuationDiagnosticsWriter, pv);
}
}
if (fCreditRating != null)
{
UpdateDefaultDate(fCreditRating, tgi.Date, tgi.T, defaultDate);
GetDefaultValue(baseDate, tgi.Date, defaultDate, fRecoveryRate, pv, cash);
}
}
result.AppendVector(tgi.Date, pv * fFxRate.Get(tgi.T));
if (!cashAccumulators.Ignore && cash != null)
{
// Realise all value as cash on deal end date
if (tgi.Date == endDate)
{
cash.Assign(pv);
}
cashAccumulators.Accumulate(fFxRate, tgi.Date, cash);
}
}
});
if (!cashAccumulators.Ignore && !collectCash)
{
CollectCashflows(cashAccumulators, baseDate, fT.fHorizon);
// Consolidate and net in order to avoid getting Net incoming and outgoing cashflows with the same payment date,
// e.g. for compounding swaps with both positive and negative rates.
cashAccumulators.ConsolidateAndNet(fCurrency, factors);
}
result.Complete(fT);
}
}
}
